I've done this:
1) Use a decent meter with the appropriate scale. As noted above, and in my experience as well, a resistor shunt measuring uA can introduce more troubles than its worth, IMHO. Lots of inexpensive DMMs have 200.0us scales.
2) To fix the problem of pegging your uA meter AND dragging down Vdd due to a cheapo meter's relatively high shunt impedance when the PIC wakes up:
2a) jumper the meter leads until the PIC sleeps and take your measurements then or..
2b) add a high side switch, MOSFET or whatever fits, controlled by an output pin, across the meter (and its shunt) that opens when the PIC goes into sleep. Note that the code must open the switch and sleep using power stored in the bus capacitors. Likewise, the caps must have enough to run the PIC coming out of sleep long enough to close the switch. I use a build-time switch to install the extra code to control the switch and remove it for release versions.
If you are tight on I/O, consider build-time reassignment of another IO line i.e. some LED that won't be used in power down, etc.
post edited by john - 2010/09/23 17:54:12